Improving forecasts with the co-range dynamic conditional correlation model
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Control and Optimization,Economics and Econometrics
Reference54 articles.
1. Dynamic conditional correlations: on properties and estimation;Aielli;J. Bus. Econ. Stat.,2013
2. Range-Based estimation of stochastic volatility models;Alizadeh;J. Financ.,2002
3. Modeling and forecasting realized volatility;Andersen;Econometrica,2003
4. Heterogeneous asymmetric dynamic conditional correlation model with stock return and range;Asai;J. Forecast.,2013
5. Multivariate volatility modeling of electricity futures;Bauwens;J. Appl. Econom.,2013
Cited by 18 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Improving volatility forecasts: Evidence from range-based models;The North American Journal of Economics and Finance;2024-01
2. Attention to oil prices and its impact on the oil, gold and stock markets and their covariance;Energy Economics;2023-04
3. BIST BANKA ENDEKSİ (XBANK) İLE GELİŞMİŞ ÜLKE BANKACILIK ENDEKSLERİ ARASINDAKİ VOLATİLİTE ETKİLEŞİMİNİN DCC-GARCH MODELİ İLE ANALİZİ;Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi;2023-03-27
4. Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices;Journal of Empirical Finance;2023-01
5. Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies;Equilibrium. Quarterly Journal of Economics and Economic Policy;2022-12-30
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3